Press Ctrl Alt Delete and open the task manager, go to processes. Usually malware can't be deleted when it's running, you just need to find the file name in there and kill the process.
I use Avast! Antivirus, I would call it the best. What I really like about Avast is that it detects and stops viruses before they get in your comp instead of letting you know later that you have a virus, good job, Avast.
You may also want to get the following security tools
TrendSecure | TrendMicro HijackThis Overview
Malwarebytes.org
Edit: I've had trojans before, trust me, it's not pretty, I think I may have had a discontinued RAT (Remote Access Trojan), I Believe it was called Beast Trojan.